using options tools to trade foreign- exchange spot

Using Options Tools To Trade Foreign-Exchange SpotHin nay trn mt s din n ti chnh ca Vit nam, nh Vietcurrency, c mt s nh u t a ra cu hi kh hay: Lm th no giao dch forex da trn thng tin v cc option. y l mt vn theo ti l rt hay. Cc nh giao dch trn th gii bit vn dng nhng cng c t option lm c s trong nhng quyt nh giao dch ca minh. Vit nam th c rt t ti liu chnh thc bng Ting Vit ni vn ny. Sau mt thi gian tm hiu, ti tm thy mt s bi nghin cu ca cc chuyn gia nc ngoi c ni v vn ny. Ti su tp v bin dch li, cng vi nhng g c hc khi cn hc tp ti trng i hc Kinh T TP.HCM, ti hy vng s mang n cho cc bn mt ci nhn tng quan v th trng option, vn cn rt mi i vi hu ht nh u t Vit Nam(v thc s Vit Nam cha c th trng option chnh thc) cng cch thc vn dng option tin hnh giao dch forex. Mt khc, nh ti ni do option cn mi Vit nam, nn mt s khi nim, thut ng trong bi vit ny c th gy kh hiu cho bn c. Nhng ai mun tm hiu su hn v option th c th tm c thm cc ti liu m ti cp bn di bi vit ny. I-GII THIUOPTIONS 1-Tng quan v option Vic giao dch option trong th trng forex xut pht t nhng nn tng c bn trong th trng chng khon. Option cung cp cho cc nh u t mt c hi kim c tin vi mc ri ro m h c th chp nhn c. hiu c khai nim ny tt hn, chng ta hy xem v d v vic mua mt chic xe hi sau y: Nu bn nm gi mt hp ng m cho php bn c th mua mt chic xe hi vo ngy 1 thng 5 vi gi $1,500, nh vy bn c mt option(la chn) mua chic xe hi ny. Option ny m bo rng nu gi tr ca chic xe hi gia tng trong sut qung thi gian t nay cho ti trc ngy mua( trong trng hp ny l vo ngy 1 thng 5), nh vy bn c th kim c li nhun bng cch bn chic xe ny cho mt ngi khc vi mt s tin ln hn s tin gc m bn b ra mua n. Ngc li nu ga tr ca chic gim xung so vi gi tr gc, nh vy bn s khng kim c ng li nhun no nu mua chic xe . Option cung cp cho bn quyn c mua chic xe trong trng hp ny nhng khng phi l bt buc nu bn khng mun mua n na. iu ny gp phn lm bt ri ro cho cc nh giao dch. C hai kiu option chnh.V c bn c hai kiu option in hnh dnh cho cc nh u t c nhn. l option call/ put truyn thng v option SPOT( Mt kiu option khng nhng cho php nh u t thit lp cc iu kin cn thit nhn c khon thanh ton m cn cho php h thit lp quy m( kch c) nu cc iu kin c p ng. 2-Cc kiu option trong forex

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Using Options Tools To Trade Foreign-Exchange Spota- Traditional Option Option call/put truyn thng lm vic ging nh cc option v c phiu vy. N cung cp cho mt nh u t mt quyn mua( nhng khng phi l bt buc) mua( tin, c phiu) t ngi bn option vi mc gi v thi gian c xc nh trc. Cho v d, mt nh u t c th mua option mua 4 lot EUR/USD ti mc gi 1.4000 trong mt thng na, tnh t by gi( hp ng ny c gi l EUR call/USD put). Hy nh rng trong th trng option, b s mua cng lc mt call v mt put. Nu gi ca cp EUR/USD xung di 1.4000, th ngi mua option ch mt ph. Nhng nu EUR/USD gia tng ti 1.600, ngi mua c th s dng option ny v kim c li t 4 lot EUR/USD ny, do h ch phi phi mua vi gi 1.4000 v sau h c th bn li vi gi 1.6000 Option v forex c trao i mua bn ti cc quy giao dch. Chnh v vy, m cc nh u t c th d dng la chn gi v ngy o hn ca option theo s thch ca h. H s nhn c mt bng yt gi lin quan n ph m h cn phi tr mua mt option. Hin nay loi option truyn thng, l -Option kiu M Option ny C th c thc hin vo bt k thi im no cho ti ngy o hn -Option kiu Chu u Ch c th thc hin vo ngy o hn Li th ca nhng option call/put truyn thng ny so vi cc loi option khc l ph ca chng thng thp hn. Thm vo , option kiu M cho php nh u t thc thi vo bt c lc no trc ngy o hn. Mt khc, cc option truyn thng yu cu phi lm vic nhiu hn thit lp v hin so vi cc option SPOT. b-Single Payment Options Trading (SPOT) Cc option SPOT c nhiu c im gn ging vi cc option truyn thng. im khc bit chnh nht l nh giao dch tin t u tin s phi a ra mt kch bn ( V d UER/USD s vt mc 1.4000 trong hai tun na), anh ta chu mt mc ph, tuy vy s nhn c tin mt sau nu kch bn ca anh ta xy ra. Giao dch SPOT chuyn i option thnh tin mt mt cch t ng nu giao dch ca bn thnh cng. Kiu giao dch option ny rt d giao dch v n ch yu cu bn a ra mt kch bn v sau i kt qu. V c bn, nu kch bn ca bn a ra tr thnh s tht, bn s nhn c tin. Nhng nu n khng xy ra, th bn ch mt ton b s tin b ra mua option m thi. Li th khc ca option SPOT l n cho php mt la chn m rng dnh cho cc nh

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Using Options Tools To Trade Foreign-Exchange Spotgiao dch. Mt ngi c th la chon mt kch bn chnh xc nh nhng g h ngh. Ri ro chnh i vi SPOT option l n c mc ph cao hn so vi hu tht cc loi option khc Li nhun v ri ro ca cc option SPOT C rt nhiu l do ti sao cc option SPOT c sc hp dn vi nhiu nh u t v cc nh giao dch forex. Cc li ch bao gm: -Ri ro thua l b gii hn, l khon tin b ra mua option - Li nhun khng gii hn -Cc nh giao dch ch cn a ra mc gi v thi gian - Yu cu s tin thanh ton trc t hn so vi v th tng t trong th trng tin t giao ngay -Option ny c th dng phng nga chng li ri ro -Option cung cp cho cc nh giao dch c hi giao dch theo d on ca mnh v ng thi trong tng lai ca th trng m khng c ri ro mt nhiu vn. -Cc option SPOT cung cp mt lot s la chn bao gm cc -Standard option: cc option chun -One-touch SPOT Bn s nh c tin nu gi chm ti mt mc nht nh no . No-touch SPOT Bn s nh c tin nu gi khng chm n mt mc gi no . -Digital SPOT Bn s nhn c tin nu gi trn hoc di mt mc no You receive a payout if the price is above or below a certain level. -Double one-touch SPOT Bn s nhn c tin nu gi chm mt trong hai mc c thit lp t trc. -Double no-touch SPOT Bn s nhn c tin nu gi khng chm bt k mc no trong hai mc c thit lp t trc.

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Using Options Tools To Trade Foreign-Exchange SpotVi nhng li ch nh c nu ra, cu hi t ra l option SPOT ny c rt nhiu u im nhng ti sao mi ngi li khng s dng option ny. Mt iu quan trng cn nhn ra l c mt s ri ro nht nh khi s dng chng Ri ro C nhiu mc ph khc nhau ty thuc vo ngy v gi o hn ca option. V iu ny, m t l ri ro/ li nhun cng bin ng theo. Cc option SPOT khng c php giao dch. Mt khi bn mua n, bn khng th bn li c. Kh khn d bo khi no v ti m gi no th trng s dch chuyn . 3-Nhng yu t nh hng ti gi ca option Nh cp phn trc, gi quyn chn c th thay i do nhiu yu t. y chnh l nguyn nhn lm cho t l ri ro/ li nhun trong vic giao dch option cng bin i theo. Mt s nhn t m c nh hng n gi ca option l: -Ga tr ni ti y l gi tr hin thi ca option nu n c s dng. N n gin ch l chnh lch gia ga o hn( hay gi thc hin ca option) vi gi hin ti ca ti sn c s. V d xt mt quyn chn mua EUR/USD trong hai thng na vi gi 1.4$, gi hin thi by gi ang l 1.45$. Ga tr ni ti ca option ny s l 0.45$. Lu , gi tr ni ti ny ch c p dng i vi option kiu M v option kiu chu u ch c th thc hin vo ngy o hn. V gi option kiu M bao gi cng ln hn gi tr ni ti ca n. -Ga tr thi gian Gi tr thi gian phn nh s khng chc chn v bin ng ca th trng theo thi gian. Ni tng qut, option c thi gian o hn cng di, gi m bn phi tr cho option cng cao. -S khc bit v li sutMt s thay i trong li sut c nh hng mnh ti quan h gia gi thc hin( gi m bn sn sang tr hoc mua hoc bn c phiu, tin t). S khc bit ny thng bao gm trong ph ca option nh l mt phn ca gi tr thi gian. Nu bn mua call option, nh vy bn tit kim c mt khong tin bng khong chnh lch gia gi tr option v gi thc hin. Li sut cng cao, li bn nhn c t khon tiets kim do mua call option cng cao. V vy, khi li sut tng ln, call option s hp dn hn i vi nh u t, do s c gi cao hn. Ngc li, li sut cao hn s khin quyn chn bn t hp dn hn i vi nh u t, do c gi thp hn.

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Using Options Tools To Trade Foreign-Exchange Spot- bt n(Volatility) bt n cao lm tng kh nng gi th trng s cao hn gi thc hin kh nhiu (i vi quyn chn mua), hoc s gim su so vi gi thc hin (i vi quyn chn bn). bt n c coi nh l mt phn ca gi tr thi gian. Thng thng cp tin c bt n mnh i hi mt mc ph cao hn. Tm li: Option cung cp cho cc nh u t mt c hi khc m kim li nhun vi ch ri ro hn. c bit, cc option v forex rt c a chung trong cc thi k bt n chnh tr, kinh t v cc bt n khc. iu ny ty thuc vo cc nh giao dch cbit nm ly c cc li th m option mang li hay khng.

II- CC TRNG THI CA OPTION C ba trng thi ca option 1- In The Money ( ITM ) options: tm dch l option trng thi c tin 2-At The Money ( ATM ) options: option trng thi ha tin 3-Out Of The Money( OTM) Options: tm dch l option trng thi mt tin y, ti ch cp lm r v Out Of The Money( OTM) Options v ci ny c lin quan trc tip n Risk Reversal( mt cng c ca option dng giao dch forex) s cp n phn sau. Mt khc, thng qua OTM option th cc bn cng c th phn no hnh dung c ITM v ATM option. 1-Tm hiu v OTM option. Giao dch OTM options l phng php giao dch tch cc nht vi tim nng li nhun cng nh ri ro cc k cao v ch thch hp cho cc nh giao dch option c nhiu kinh nghim. Chng ta s ln lt i tm hiu th no l Call v Put OTM option. A-Call Option Out Of The Money ( OTM ) l g? a-nh ngha Mt call option c xem l OTM( tm dch l trng thi mt tin) khi m gi thc hin ( gi o hn) ca option cao hn gi th trng hin hnh v v vy n khng c gi tr ni ti . Mt Call options nh vy s gia tng gi tr nhanh chng nu cp tin c bn tng gi vt qua gi o hn ghi trong option. V n hon ton khng c gi tr ni ti v yu cu cp tin c bn tng gi mnh th mi c li nhun, mc ph b ra mua option kiu ny s r hn.

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Using Options Tools To Trade Foreign-Exchange SpotCho v d: nu cp EUR/USD ang c giao dch ti 1.4, mt call options c gi o hn l 1,45 s l OTM option v n cho php bn mua cp EUR/ USD vi gi 1.45 trong n ch ang c giao dch ti 1,4 Di y l bng minh ha trng thi ca mt call option i vi cp tin c bn ca n. Gi s E/U ang c giao dch ti 1.4 Strike Price 1.35 1.4 1.45

Call Option Status ITM ATM OTM

b-iu g xy ra khi mt Call Option o hn trng thi OTM? Khi Call Options ca bn o hn trng thi OTM, chng tr nn t c gi tr, v vy bn mt ton b s tin ban u mua option ny( gi l ph Option) v thc s bn s khng thc hin option ny mua cp tin ti mc gi cao hn so vi gi th trng.( Ti ngh s chng c nh giao dch no hnh ng nh vy?) B- A Put Option Out Of The Money ( OTM ) l g? a-nh ngha A put option c xem l OTM ( tc trng thi mt tin ) khi gi o hn ca put option thp hn gi th trng hin hnh ca cp tin c bn . Tc Option ny cho php bn bn cp tin vi mc gi thp hn thp hn so vi gi th trng, d nhin bn khng s khng thc hin ri. V vy, put option nh vy khng c gi tr ni ti Ly v d: nu E/U ang c giao dch ti 1.4, gi o hn ca put options l 1.35, option ny c coi l OTM, v n cho bn quyn bn cp tin vi gi ch l 1.35, trong khi th trng ang sn sang mua n vi gi 1.4 Di y l bng m t trng thi ca put option so vi ti sn c s ca n. Gi s rng E/U ang c giao dch ti mc gi 1.4 Put Option Status Strike Price 1.35 OTM 1.4 ATM 1.45 ITM b-iu g xy ra khi mt Put Option o hn trng thi OTM?

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Using Options Tools To Trade Foreign-Exchange Spot

Ging nh nhng g xy ra vi Call Option khi o hn ti trng thi OTM, mt OTM put option cng s o hn m khng c gi tr 2- Nhng li th khi giao dch cc option OTM a-L do ng k nht m hu ht cc trader giao dch cc OTM Option l n cho t sut sinh li cao hn trn cng mt ng thi di chuyn ging nhau ca cp tin c bn so vi cc ATM Options v ITM Options Ga s E/ U ang c giao dch ti 1.4 Call Option Strike Price Per Status Price Contract OTM ATM ITM 1.5 1.4 1.3 0.1$ 0.7$ 11$

E/ U expired at 1.4 0 0 0.1$

E/U expired at 1.6 (1.6-1.5)/0.1=100% Gain (1.6-1.4)/7=28.6% Gain (1.6-1.3)/11=2.72% Gain

Lu : Mt s nh u t mi bt u giao dch quyn chn ngh rng ITM Options n l cc Option mc tin( c ph cao hn) bi v gi ca n cha ng gi tr ni ti cng nh gi tr bo him na. Trong khi , OTM Option ch cha gi tr bo him khng thi, do d r hn. thc s l mt quan nim sai lm. Chi ph thc s mt option thc s ch l ph cho gi tr bo him bi v nu cp tin c bn khng di chuyn, th OTM Options s vn khng c gi tr cho n khi o hn, trong khi th cc ITM Options ti ngy o hn s c gi tr ni ti. b-L do th hai l mua cc OTM Option th r hn nhiu so vi ATM Options v ITM Options Ga s E/U ang c giao dch ti 1.4 Strike Price Price Per Contract 1.5 $0.1*100=10$ 1.4 $0.7*100=70$ 1.3 $11*100=1100$

Call Option Status OTM ATM ITM

Tuy vy, ci g th cng c hai mt ca n. Vic giao dch OTM Option cng c nhng mt bt li ca n. 3-Bt li ca vic giao dch cc OTM a- Bn c th mt ton b s tin ca bn khi cc OTM Options o hn m khng c gi tr

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Using Options Tools To Trade Foreign-Exchange Spotb- Nguy c thua l cao hn so vi ITM Options v ATM Options bi v cc OTM Options phi cn n s bin ng mnh ca cp tin c bn, vt qu gi o hn ca th mi c li nhun III-S DNG OPTION GIAO DCH FOREX Trn c s im qua mt s nt v option, c th ni rng cc option cung cp cho chng ta mt cht suy ngh ca th trng v hng i ca th trng trong tng li. Vy lm sao s dng cc cng c ca option vo giao dch forex ? Phn ny, ti s gii thiu cch ng dng cc cng c ca option, bao gm Delta, , risk reversals and volatility vo trong giao dch forex. Cng ging nh bt k mt cng c no khc, n khng mang n mt d bo chnh xc hon ton, nhng n s gip cho bn c thm c s ra cc quyt nh u t Delta, risk reversal v volatility l nhng khi nim quen thuc ca hu ht cc nh giao dch option. Tuy vy, nhng cng c c s dng trong giao dch option tin t ny cng c th hu ch d on ng thi di chuyn ca cc cp tin c bn trong th trng giao ngay. Trong phn ny, chng ta s xem xt cch volatility( tm dch l bt n), c th c dng xc nh hng i sp ti ca th trng ngoi hi ra sao, cch delta c th c s dng tnh ton xc xut gi chuyn ng ca gi giao ngay , cng nh l ng dng ca risk reversal na. 1-S dng bt n(volatility) o d bo dao ng ca th trng Option volatility information is readily availabl from a variety of sources. In using volatility to forecast market activity, the trader needs to make certain comparisons. Although the most reliable comparison is implied versus actual, the availability of actual data is limited. Alternatively, comparing historical implied volatilities is also effective. One-month and three-month implied volatilities are two of the most commonly benchmarked time frames used for comparison (the numbers below represent percentages). Option volatilities o lng t l v cng ca nhng thay i trong gi ca mt cp tin. Implied option volatilities( tm dch l bt n c hm ca quyn chn), mt mt khc o lng s k vng v bin ng trong gi mt cp tin i vi mt thi k nht nh da trn bin ng ca n trong qu kh. Vic tnh ton bt n qu kh thng thng c lin quan n lch chun nm da trn cc thay i gi hng ngy trong qu kh. ( Ti s hng dn cc bn cch tnh ton bt n ny trong phn ph lc cui bi vit ny). Cc thng tin v Option volatility( bt n ca option) c sn trn mt s trang web) c sn trn mt s trang web. Trong vic s dng bt n d bo hng i ca th trng, cc nh u t cn thit lp cc s so snh chc chn. Mc du, s so snh ng

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Using Options Tools To Trade Foreign-Exchange Spottin cy nht l so vi thc t, tuy vy d liu thc t li b gii hn. Nh l mt s la chn, vic so snh bt n c hm trong qu kh (historical implied volatilities ) cng mang li mt s hiu qu nht nh. Thng thng bt n c hm mt thng v bt n c hm 3 thng l nhng khung thi gian c la chn so snh( cc con s trnh by trong bng sau y c th hin di dng phn trm).

Figure 1 : Source: IFR Market News Plug-in

Vy chng ta so snh nh th no? y l cch so snh m gii u t trn th gii h thng s dng: Nu option volatilities ngn hn m nh hn ng k so vi volatilities di hn, th k vng s c mt breakout tim nng. Nu option volatilities ngn hn cao hn ng k so vi volatilities di hn, th trng k vng gi s giao dch trong mt vng gi( range-trading).

c trng ca kch bn giao dch trong mt vng gi l implied option volatilities thng thp hoc ngy cng gim bi v trong vng giao dch trc , cp tin di chuyn vi mt bin rt nh. Khi option volatilities bt ng bin ng mnh, c th l mt tn hiu tt cho cc cc c hi giao dch sp ti. iu ny rt quan trng cho c nh u t giao dch theo range v breakout. Cc nh u t m thng bn ti nh v mua ti y ca vng gi( nhng nh giao dch theo range) c th s dng option volatilities d on khi no chin lc ca h c th khng hot ng ng, c bit

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Using Options Tools To Trade Foreign-Exchange Spothn na, nu volatility m tr nn cc thp th kh nng gi tip tc dao ng trong mt vng gi gim i rt nhiu. Cn cc nh u t quen giao dch theo kiu Breakout th cng c th quan st option volatilities chc rng h ang khng mua hoc khng bn ti mt im t ph breakout sai. Nu volatility mc trung bnh ( khng ln, khng nh) th rt c kh nng im m nh u t nh breakout s sai. Nh mt s la chn, nu bt n ang mc rt thp, th xc xut c breakout ng cng tng. Nhng quy tc ny nhn chung lm vic kh tt, nhng cc traders cng phi nn cn thn. Volatilities c xu hng gim ko di trong sut thi k , n c th cung cp cho chng ta cc thng tin sai lnh. Cc nh giao dch cn tm kim nhng bin ng mnh trong volatilities, ch khng phi l nhng bin ng t t,hoc rt chm. Bn di l th ca cp USD/JPY. ng mu xanh l cy i din cho volatility ngn hn, ng mu i din cho volatility di hn v ng mu xanh biu din ng gi. Nhng Mi tn m khng c nhn ang ch ra thi k m volatility ngn hn tng mnh vt qua volatility di hn. Bn c th d dng nhn ra rng mt s phn k nh vy trong xu hng ca volatility thng c theo sau bi mt thi k gi dao ng trong mt vng gi. Mi tn ca 1M implied ( tm dch l bt n c ng 1 thng) ang ch ra thi k m volatility ngn hn trt gim xung bn di volatility di hn. Sau thi k , mt breakout xy ra khi bt n ngn hn(short-term volatility) vt mnh ln trn bt n di hn(toward long-term volatility).

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2- S dng Delat tnh ton xc xut di chuyn ca gi giao ngay. Ga ca mt option c th c xem nh l i din cho k vng ca tht trng v hng i trong tng lai ca gi giao ngay( spot prices). Delta ca mt option c th c hiu nh l xc sut ca option o hn trong trng thi c tin( in the money, c th xem li phn cc trng thi ca option). Cho v d, da trn mt call option USD/JPY 1 thng c gi o hn l 104 vi delata l 50, th xc xut cp USD/JPY ti ngy o hn o hn trn 104 l khong gn 50% Tnh ton xc xut dch chuyn ca gi giao ngay nh th no? Vi thng tin v Deltas, mt nh giao dch c th thy c k vng ca th trng v kh nng cc mc gi giao ngay c th t c theo thi gian. Khi xc sut ch ra rng gi giao ngay sp ti s tng cao hn mt mc nht nh no , th call-option deltas c s dng, ngc li khi xc sut cho thy kh nng gi giao ngay trong tng lai s thp hn mt mc no ,th put-option deltas c s dng Cha kha chnh d bo s dch chuyn ca gi giao ngay l s dng xc sut c iu kin. Da trn hai s kin, A v B, Xc sut ca A v B cng xy ra c tnh ton nh sau: P(A and B) = P(A)*P(B|A) V vy, xc sut A v B cng xy ra l tng ng vi xc xut A xy ra nhn vi xc sut B xy ra khi A xy ra c n y, cc bn c th kh hiu, v n yu cu mt cht kin thc ton hc, c bit l xc sut thng k y. Tuy vy, s khng kh hiu cht no nu cc bn c k v d ti sp cho hiu c cch m ngi ta tnh ton xc sut m gi giao ngay s chm n mt mc gi nht nh no :P(touching and finishing above spot level) = P (touching spot level) * P(finishing above spot | touched spot level)

Nhn cng thc th c v kh nut phi khng cc bn? Ti xin din gii bng li nh sau, xc sut gi giao ngay chm v cao hn mc mt mc gi no ( hoc c th gi xc sut ny l delta) l tng ng vi xc sut gi giao ngay chm mc nhn vi xc xut gi giao ngay tng vt trn mc , da trn gi inh rng gi chm mc ny ri.

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Cho v d: Chng ta mun bit xc sut cp EUS/ USD chm 1.26 trong hai tun ti l bao nhiu? V chng ta quan tm n vic gi giao ngay s hon thnh trn mc ny, nn chng ta s xem xt Call option EUR. Da trn gi giao ngay v volatilities hin thi , th delta ca option ny l 30. V vy quan im ca th trng l xc sut EUR/USD ti ngy o hn trn 1.26 l gn 30% Nu chng ta gi nh rng EUR/USD chm 1.26, th delta ca option sau s tng ln thnh 50. Bng nh ngha mt ATM option(option trong trng thi hon tin) c delta l 50, v vy xc sut cho gi giao ngay trn mc 1.26 l 50% Nh vy ta c phng trnh: 0.3=0.3 = P(touching 1.26) * 0.5 ( c c phng trnh ny bn ch cn lp nghp cc thnh phn vo trong cng thc trn). iu ny c ngha l xc sut cp EUR/USD chm mc 1.26 trong hai tun ti l gn 60%(0.3/0.5). Tc d on tt nht ca th trng sau l cp EUR/USD s c 60% c hi chm mc 1.26 trong hai tun ti, da trn cc thng tin v option. Da trn gi ca option v deltas tng ng, xc sut c tnh ton ny c th c s dng c c ci nhn tng quan v k vng ca th trng i vi cc mc gi giao ngay. C mt mo nh gip nh u t nh nhanh l xc sut gi giao ngay chm mt mc gi no ( v d mc l x), l gn tng ng hai ln delta ca mt option c gi o hn l mc gi x . 3-S dng Risk Reversal xc nh v th th trng A-Gii thiu tng quan v Risk Reversal Risk reversal l mt chin lc giao dch options m t mc tiu lm tng thm mt v th option min ph, s dng chin lc ny bn s khng phi tr hoc nhn cc khon thanh ton( tin mt) trc no, v mc ch ca chin lc ny l dng u c hoc bo him ri ro cho ti sn bn ang nm gi. Risk reversal l chin lc t c s dng trong giao dch option c phiu nhng l mt thut ng kh ph bin trong giao dch options v forex v options hng ha do sc mnh bo him ca n, v vy n mi c tn gi l Risk Reversal. Mc d ci tn lm cho chin lc ny nghe c v rt phc tp, k thc n l mt chin lc option cc k n gin vi l lun logic cng n gin, khng phc tp lm.

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Using Options Tools To Trade Foreign-Exchange SpotGi ti s gii thch Risk Reversal trong giao dch quyn chn l g, v m t chi tit tt c cc ng dng khc na ca Risk Reversal. Risk Reversal l g? Ging nh tn gi gi , Risk Reversal l mt k thut cho s o chiu ca ri ro bng cch s dng option. iu ny c ngha l n vn l mt chin lc bo h, mc d vy n cng c th c s dng u c. Risk Reversal cng c th c s dng d on tm l ca cc nh u t. Khi mt risk reversal l v th bn i vi mt khon n rng( c bit n nh l Risk Reversal dng), iu c ngha l call options ang t hn so vi cc put options do cc call options c bt n cao c hm cao hn so vi cc put. iu ny ng rng, th trng ang nghing v mt s tng gi trn ti sn c s. Ngc li, khi v th risk reversal l ang bn i vi mt khon tn dng rng (c bit n nh l Risk Reversal m), n c ngha l put options lc ny ang mc hn so vi cc call options do c bt n c hm cao hn. Th trng lc ny ang nghing v xu hng ti sn c s s gim gi trong tng lai. S tht, trong giao dch option v forex, risk reversals c trch dn trc tip da trn implied volatility, v vy s khng kh bit nh u t ang nghin v thin hng no. B- Chin lc giao dch Risk Reversal Risk Reversal s dng vic bn mt call hoc mt put option OTM, nhm mc ch ti tr cho vic mua mt option i ngc li( v d nu bn bn i mt call option, th bn s mua li mt put option, hoc ngc li), theo l tng th giao dch ny s c chi ph bng zero. Nh vy, Risk Reversal c th c trch dn theo hai cchBuy OTM Call + Sell OTM Put Or Buy OTM put + Sell OTM Call

a-S dng Risk Reversal cho mc ch u c cch th nht bao gm vic mua OTM Call + vi vic bn OTM Put, nh u t to ra mt v th u c tng gi, trong khi vic mua OTM put + bn OTM call to ra mt v th u c gim gi. C hai v th risk reversal ny u c li nhun v l khng gii hn ging nh khi bn ang giao dch ti sn c s ca chnh n vy( xem hnh bn di), ch c khc bit duy nht l khng c mt ng tin mt no c thanh ton thit lp cc v th ny( theo l tng) v rng c mt s dao ng nh gia gi o hn ca option

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Thc t, vic mua OTM call + bn OTM put to ra mt v th mua tng hp, l v th giao dch option vi cc c im tng t nh l ang s hu ti sn c s vy. Ngc li, vic mua OTM put + bn OTM call to ra mt v th bn tng hp, l v th giao dch option c cc c im ging nh ang bn ti sn c s.

V d v Risk Reversal cho mc ch u c: Ga s cp E/U ang c giao dch ti 1.4 Jun 1.5Call c a ra vi mc gi 0.75, Jun1.3Put cng c a ra vi mc gi l 0.75 Nu bn tin rng E/ U s tng, bn s thc hin chin lc nh sau: -Mua X Jun1.5Call, v bn X 1.3Put Kt qu rng: $0.75 - $0.75 = $0 Ngc li nu bn tin rng E/ U s gim gi, bn thc chin lc sau: -Mu X Jun 1.3 Put, v bn X1.5Call Kt qu rng: $0.75 - $0.75 = $0

Mc du vic s dng risk reversal cho mc ch u c dn ti mt v th m theo l tng khng cn bt c mt ng tin no c chi ra trc, nhng n lin quan n margin( khong tin k qu trc) khi bn thc hin hnh ng bn. Thc t s tin margin k qu yu cu trong sut thi gian nm gi v th ny c th nhiu hn nhiu so vi lc bn ch mua mt call hoc mt put vi mc ch u c tng t.

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Using Options Tools To Trade Foreign-Exchange SpotCho v d, bn c th n gin ch mt 75$ bng cch mua mt hp ng call options c gi o hn cao hn mc gi th trng hin hnh( bn mua option ny v bn tin rng gi s ln) thay v chi ra hng ngn dollar ra k qu do bn option. trn chng ta nghin cu v vic s dng risk reversal cho mc ch u c, phn tip theo chng ta s tm hiu vic s dng risk reversal cho mc ch bo h( hay hiu theo ngha n gin hn l cho mc ch bo him ri ro.) b-S dng Risk reversal cho mc ch phng nga ri ro Risk reversal c thit k ra ln u tin nh l mt chin lc phng h v c s dng rng ri trong hu giao dch option c phiu nhm gim thiu ri ro cho c phiu nm gi bng cch mua mt OTM put+ bn OTM call. iu ny to ra mt chin lc Covered Call Collar, n ngn c phiu mt gi vt qu gi o hn ca put option v cho php c phiu tng gi ti gi o hn ca cc call option m bn bn. Gi chng ta hy xem v d sau xem Risk Reversal c s dng phng nga ri ro nh th no:

Ga nh rng E/U ang c giao dch ti 1.4 Aug1.5Call option o hn vo thng 8 ti c cho mi vi gi 0.75$, Aug1.3Put c gi l 0,75. Bn c 100.000 euro v mun phng nga n nhm trnh s mt gi so vi ng usd m khng mun b ra bt c khon tin no. Bn s thc hin nh sau: Mua mt Aug1.3put v bn mt Aug1.5Call option Kt qu rng : $0.75 - $0.75 = $0 V th rng: 100.000 euro + buy 1 contract of Aug1.3put option + Short 1 contract of Aug1.5Call. Aug1.3put option s phng nga s gim gi ca ng euro so vi ng usd m vt di mc 1.3, nhng option ny s khng c gi tr nu gi vt trn mt 1.5 do bn bn i mt call option.

Risk reversal cng c th c s dng hn ch chiu ri ro bng cch mua OTM call + bn OTM put.

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Using Options Tools To Trade Foreign-Exchange SpotHy xem tip v d di y Gi nh rng E/U ang c giao dch ti 1.4 Aug1.5Call option o hn vo thng 8 ti c cho mi vi gi 0.75$, Aug1.3Put c gi l 0,75. Bn ngh rng ng euro s gim gi so vi ng usd, v vy bn vay100.00 euro ri bn i, i ly usd. Bm lo s rng ng euro c th i ngc li suy on ca bn, tc tng gi so vi ng usd. Bn nn thc hin chin lc sau: Mua mt Aug1.5 Call v bn mt Aug1.3 Put option Kt qu rng $0.75 - $0.75 = $0

Aug1.5Call option s bo v bn nu nh gi euro tng vt qu 1.5 nhng chin lc ny s lm gim li nhun ca bn nu euro trt gim xung di mc 1.3 do bn thc hin vic bn put options Trn y ta nghin cu v cch ngi ta s dng chin lc risk reversal trong vic u c v phng h. Vy chin lc ny mang n li nhun v thua l cho nh u t ra sao? Li nhun v ri ro tim nng ca risk reversal: Khi risk reversal c s dng vi mc ch u c, n s to ra li nhun v l khng gii hn ging nh vic bn mua hoc bn khng cp tin c bn vy. Khi risk reversal s dng cho mc ch phng h, li nhun b gii hn bi gi thc hin ca option m bn bn, trong khi mc l ti a c th c cng b gii hn bi gi thc hin ca option m bn mua C- ng dng Risk reversal trong giao dch forex Trn c s tm hiu v risk reversal, cng nh cch thc s dng chin lc ny cho mc ch u c v phng h, chng ta s i tm hiu mt ng dng cc k quan trng ca risk reversal trong vic nhh v th trng. Phn ny, chng ta s tm hiu xem cch m cc nh u t s dng risk reversal d on ng thi di chuyn trong tng lai ca t gi giao ngay trong th trng forex nh th no? Nh chng ta bit risk reversal l mt chin lc bao gm mt cp option, mt call v mt put, trn cng cp tin c bn. Trong th trng forex n c trch dn di dng l chnh lnh trong volatility( bt n) gia call v put option

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Using Options Tools To Trade Foreign-Exchange SpotCng thc tnh Risk Reversal = Implied Volatility on OTM Call Implied Volatility on OTM Put

Theo l thuyt th do call v put option s dng trong Risk Reversal c cng thi gian o hn v delta ging nhau( th trng hnh thnh delta chun l 25 khi trch dn cc risk reversal) s c implied volatility ging nhau, nhng trong thc t th khng. Mt con s dng cho thy rng cc Call ang c yu thch hn cc put v th trng k vng rng cp tin c bn s tng gi mnh. Tng t nh vy, mt con s m cho thy cc Put ang c yu thch hn cc Call, th trng ang nghin v xu hng i xung ca cp tin c bn. Nu Risk reversal gn gi tr zero, iu ny ng rng th trng ang trung lp, khng nghing hn v hng tng hay gim no. V vy, Risk reversal c th c xem nh l chc nng b phiu ca th trng. Mt con s dng ng rng c nhiu thnh phn tham gia th trng ang b phiu cho s gia tng hn l gim. Chnh v th, risk reversal c th c s dng xc nh v th trong th trng FX Lu : c mt iu cn lu l trong th trng option tin t th , risk reversals lun c trch dn di dng chnh lch dng. Cho v d nu 25-delta Eur Call ang c yu thch hn Euro Put , th th trng s nim yt chng di dng 0.4 vol, Eur call( vol y l votilities). Ngc li nu 25-delta EUR puts ang c yu thch hn cc 25delta calls, th th trng s nim yt di dng 0.4 vol, EUR put( vol y l votilities) Risk reversal tr nn kh quan trng khi gi tr ca chng tin gn n cc mc cc i. Chng ta nh ngha cc mc cc i ny nh l lch chun dng hoc m ca cc risk reversal. Khi risk reversal gn cc gi tr ny, chng cung cp cc tn hiu chng i li xu hng hin thi, n cho bit rng cp tin ang vo vng qu mua hoc qu bn, ging nh cc ch s RSI, Stochastic...vy.

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Nh c th thy trn hnh, risk reversal lm rt tt trong vic nhn ra cc trng thi qu mua v qu bn. Cc mc mua v bn c thm vo th GBP/USD nhm lm r cch m risk reversal c s dng ra sao trong vic xc nh s chuyn hng ca th trng. Trong iu kin thiu d liu v gi v khi lng giao dch, Risk reversal gip c th gip chng ta trong vic xc nh tm l tng th ca th trng Tng kt C nhiu cng c c s dng trong giao dch option c th c s rt hu ch vo trong th trng spot FX( th trng giao ngay) . bt n(Volatility) c th c s dng d bo phm vi hot ng gi thng qua vic so snh bt n c hm ( implied volatilities) ngn hn vi di hn. Delta c th gp phn c lng xc sut m gi giao ngay s chm ti mt mc nht nh no . Risk reversals i din ch k vng ca th trng v hng i ca t gi giao ngay trong tng lai. Nu bit s dng ng cch, t Risk reversal, bn c th on c tm l ca th trng v xc nh c cc iu kin qu mua v qu bn ging nh cc ch bo dao ng trong phn tch k thut vy.

Trn c s nhng g nghin cu v option cng cc cng dng ca n, ti s gii thiu cho cc bn, mt h thng giao dch kh hay, c kt cc ch bo trong phn tch k thut nh ADX, RSI, MACD vi cc cng c option m chng ta tm hiu. C nhiu cch gip cc nh giao dch (traders) xc nh c liu cp tin s giao dch trong vng gi(range- trading) hoc s i theo xu hng( treding). D nhin, s c nhiu ngi xc nh iu ny theo th gic, nhng thit ngh chng ta thit lp mt h thng cc quy tc nhm gip cc traders thot ra khi xu hng ang c du hiu suy yu hoc

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Using Options Tools To Trade Foreign-Exchange Spotngn cn h nhy vo v th giao dch theo vng gi khi m mt break out ang c kh nng xy ra rt cao. Bng di y phc ha mt vi quy tc m ti tm kim nhm phn loi mi trng giao dch cho bt k mt cp tin no.

Trend/Range Trading Rules

Range( vng gi) Tm kim: ADX (Average Directional Index, tm dch l ch s ch dn dch chuyn trc tip trung bnh) nh hn 20. Ch s ny l mt trong nhng ch bo k thut chnh dng xc nh sc mnh ca mt xu hng. Khi ADX nh hn 20, iu ny gi rng xu hng ( trend) hin thil yu, y l cc c im ca th trng ang trong mt vng gi. ADX nh hn 20 v xu hng gim cung cp thm bng chng rng khng nhng xu hng hin thi l yu, m c rt nhiu kh nng gi s tip tc di chuyn trong mt vng gi thm mt thi gian di na. bt n c hm (Implied Volatility) ngy cng gim: C nhiu cch phn tch bt n. Ci m ti thch lm hn c l so snh bt n ngn hn v di hn. Khi bt n ngn hn (short-term volatility) ang gim, c bit l sau khi n tng vt qua bt n di hn(long-term volatility), thng l du hiu cho mt kch bn o chiu giao dch trong mt vng gi. bt n ny thng gim mnh sau khi cp tin t tri qua mt thi k bin ng mnh. Lc ny cp tin dao ng trong mt vng kh hp v trong mt th trng kh yn tnh. Cch n gin theo di bt n l dng di Bollinger bands. Mt di Bollinger band hp ng rng vng gi dao ng l nh v

Page 19

Using Options Tools To Trade Foreign-Exchange Spotbt n trong th trng l thp. Ngc li di Bollinger band rng phn nh mt vng gi dao ng ln v mt mi trng c bt n cao. tng c a ra y l trong mi trng giao dch theo vng gi, chng ta tm kim mt di Bollinger bands cng hp cng tt. Chng ta hy xem th ca cp USD/JPY bn di y:

Risk Reversals : trong mi trng giao dch theo vng gi, risk reversals thng c gi tr gn bng 0, ng rng th trng khng nghing hn v bn no gia put v call, tc th trng ang do d gia tng v gim, v thc s khng c xu hng no r rng. Trend ( Xu hng) Tm kim ADX ln hn 20. Nh c cp phn trn, ADX l mt trong nhng ch bo k thut chnh dng xc nh sc mnh ca xu hng. Trong mi trng giao dch c xu hng, chng ta tm kim ADX ln hn 20 v ang c xu hng gia tng. Tuy vy, nu ADX ln hn 25 nhng sau li dc xung, c bit l nu xut pht t mc ln hn 40 th bn phi c bit cn thn v s dc xung ca n m ch rng xu hng( trend) hin thi ang suy yu Bn cnh vic s dng ADX, ti cng ngh nn tm kim thm mt s xc nhn mi trng giao dch thng qua cc ch bo ng lng. Cc nh giao dch nn kt hp cc

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Using Options Tools To Trade Foreign-Exchange Spotch bo ny vi phng hng ca trend. Hu ht cc nh giao dch tm kim cc ch bo dao ng xc nh sc mnh ca xu hng hin thi. Cho v d, trong mt xu hng ln( uptrend) cc nh giao dch theo xu hng tm kim cc ch bo v ng trung bnh, RSI, stochastics, ng trung bnh phn k( MACD), tt c phi cng ch hng ln. Trong mt xu hng gim gi, h tm kim cc ch bo ging nh vy cng ch hng xung. Mt s nh giao dch tin t thng s dng ch bo ng lng, nhng vi quy m nh hn. Mt trong cc ch bo ng lng mnh nht l s dng lnh t hon ho theo cc ng trung bnh. Trong xu hng tng gi, mt lnh vo c coi l hon ho khi cc ng trung bnh cng hng ln, ng SMA 10 ngy nm bn trn ng SMA 20 ngy, ng trung bnh 20 ngy nm bn trn ng SMA 50 ngy. ng thi cc ng SMA 100 ngy v SMA 200 ngy nm bn di cc ng trung bnh ngn hn ny. Trong mt xu hng gim gi, th hon ton ngc li, mt lnh vo c coi l hon ho khi m cc ng trung bnh ngn hn nm hn bn di so vi cc ng trung bnh di hn. Options (Risk Reversals) trong mt mi trng c xu hng, chng ta tm kim risk reversals nghing v call hoc put. N thng cho chng ta bit mi trng ang giao dch c xu hng mnh hoc mt ng thi o chiu xu hng c th ang dn hnh thnh nu nh risk reversals t cc gi tr cc i.

Trn y l nhng iu c bn nht v option trong forex cng nh cch p dng n vo trong giao dch forex. Cng ging nh bt c cng c no khc, tn hiu m n mang li khng phi ng hon ton, nhng n s gip bn c thm c s ra quyt nh. Cc cng c option ny cn c s dng kt hp vi cc ch bo k thut nhm tng thm tnh xc nhn, gip chng ta xy dng mt h thng giao dch ca ring mnh, vo ra th trng theo cc quy tc m chng ta t ra cho h thng , trnh nhng lnh sai do quan st cm tnh.

Ph LcNh ni trong phn gii thiu v bt n, trong phn ph lc ny ti s hng dn cc bn cch tnh ton bt n. t c mt c lng ng tin cy v bt n hoc lch chun l mt vic lm kh khn( bt n c tnh ton t lch chun). Hn na, m hnh Black-Scholes( m hnh dng nh gi quyn chn, ti s cp m hnh ny phn sau) ni chung rt nhy cm vi c lng ny. C hai phng php tip cn c lng bt n, l: bt n qu kh, v bt n c hm .

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Using Options Tools To Trade Foreign-Exchange Spot bt n qu kh (historical volatility) , hay cn gi l bt n thng k(statistical volatility, vit tt l SV). bt n qu kh l mt phng php o lng bt n ca ti sn c s hoc cc hp ng giao sau. S d gi l bt n l v n da trn nhng thay i trong gi ca c phiu hay tin t trong qu kh. c th d hnh dung, bn c th ngh bt n qu kh ging nh l tc hay cng bin ng ca gi ti sn vy. Ging nh mt chic xe hi c tc l 75km/h, mt c phiu, cp tin s di chuyn vi mt tc m c tnh ton cng ging nh tc ca chic xe vy, nhng cng bin ng ny c tnh theo nm. bt n qu kh cng cao, cho thy gi ti sn tri qua thi k bin ng cng mnh, do vy theo l lun n c th di chuyn cng mnh trong tng lai, mc du n khng cung cp cho chng ta hng di chuyn ca ti sn. C nhiu cch tnh ton bt n qu kh ny, nhng cho d th cch no i na chng u da trn nn tng ging nhau. bt n qu kh ni cho chng ta bit gi c phiu hoc cp tin c th di chuyn bao xa trong tng lai da trn mc bin ng trong thi gian gn y ca n.. Hy xem li v d chic xe hi chy vi tc 75km/h mt ln na, chng ta bit c rng, trong mt nm chic xe ny s c th i c mt on ng di tng cng 657,000 km((75 x 24 hours x 365 ngy = 657,000). Nhng mt nghi vn c t ra y l tc 75km/h c th khng c duy tr u v n cng khng ni cho chng ta bit nhiu v hng i ca chic xe( n c th quay tr li v i v pha trc, khng ch ra mt hng i c th no, ngha l n c th kt thc ni n bt u). iu ny cng ng khi p dng i vi cc ti sn ti chnh, nh c phiu, tin t . Nhng vic tnh ton r rng ph thuc vo tc di chyn trong qu kh, tc l nhng thay i gi hng ngy di dng phn trm. Nu tc ny ngy cng tng, bt n qu kh ni chung s tt hn. Tnh ton bt n qu kh Thng qua cch tnh ton bt n qu kh, th nhng iu ti n trn s gip cc bn d hnh dung hn. bt n qu kh l mt con s nh lng da trn nhng thay i gi trong qu kh ca c phiu, tin t. N c tnh ton n gin bng cch s dng d liu gi trong qu kh, trong v d ny l 10 ngy (gi c ly theo gi ng ca), t tnh ra nhng thay i gi hng ngy (di dng phn trm) ri ly trung bnh nhng gi tr thay i ny. Mt khi chng ta c c con s trung bnh ca nhng thay i trong 10 ngy, chng ta s ly cc thay i gi hng ngy tr i gi tr trung bnh ny. Nghe th c v kh hiu phi khng cc bn. Qa tht, ci ny n lin quan n mt cht kin thc v thng k. Nu ai khng c hc qua, th s kh m hnh dung c Nhng yn tm i, Excel s gii quyt vn ny gim bn, bn chng cn phi lm g nhiu, ch cn nh tn hm ri sau nhp cc bin vo ri Enter l s c kt qu.

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Nh cc bn c th thy trn hnh, ct gia trnh by gi ng ca ca c phiu IBM t ngy 3/7/2007 ti ngy 18/7/2007. Ct bn phi trnh by nhng thay i v gi hng ngy (c tnh bng cch ly gi ng ca ca ngy hm nay tr i gi ng ca ca ngy hm trc, sau em chia cho gi ng ca ca ngy hm trc). D liu v thay i gi hng ngy s c s dng lm d liu u vo tnh ton bt n qu kh. Nh ti cp c th dng Excel tnh ton cho n gin ha cng vic. Qa trnh tnh ton c th c m t nh sau:

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Do chng ta s dng nhng thay i v gi hng ngy nn chng ta thu c bt n theo ngy l 0.65%. c c bt n theo nm chng ta phi nhn bt n ny vi ( gi nh mt nm c 254 ngy giao dch). Nh vy bt n thng k hay bt n qu kh ca c phiu IBM 10 ngy l 10.29%(0.645%* = 10.29%). Mt iu cn nh l chng ta ang bn v tc dch chuyn ca gi ti sn c s, n c k vng l s tng hoc gim 10.29% trong vng 254 ngy giao dch k tip da trn nhng thay i gi trong 10 ngy qua. Trong v d trn chng ta s dng khung thi gian (time frames) l 10 ngy, tuy vy chng ta cng c th s dng 20, 30 ngy, hoc 1 thng, 3 thng.. vv ty theo la chn ca chng ta. Lu l khung thi gian cng ln, chng ta phi i ngc dng thi gian cng nhiu. Cng i ngc dng thi gian cng nhiu, bt n cng c nhiu kh nng s thay i. Trn nhng g nghin cu v bt n qu kh, phn tip theo chng ta s nghin cu v bt n c hm ( Implied Voltilities), cng nh cch tnh ton chng. Cc nh giao dch c th s chng bao gi hiu y nhng nhn t ng ng sau vic nh gi option v nhng ng thi di chuyn ca gi option nu khng hiu c bt n v bt n c hm l gi? Nh chng ta bn lun trn, bt n( hay ni c th hn l bt n qu kh c tnh ton theo cc phng php ton hc thng k cho ra k vng v kh nng bin ng ca ti sn c s hoc th trng da trn s bin ng trong qu kh gn y. Da trn nhng g chng ta bit c v bt n, chng ta s tip tc pht trin mt khi nim mi l bt n c hm . y l mt trong nhng yu t quan trng nht quyt nh gi ca option , ch sau gi ca ti sn c s bt n c hm c lng cng di chuyn c th xy ra ca ti sn c s theo hai hng( tc n s khng ni cho chng ta bit ti sn c s s di chuyn theo hng ln hoc xung). bt n cng cao, ti sn c s( c phiu, tin t) cng c k vng dch chuyn cng mnh, v vy c mt kh nng ln l ti sn c s s dch chuyn theo hng c li cho bn. Cng tng t nh vy, mt bt n c hm cng thp, ti sn c s c k vng s di chuyn cng chm chp, do d cng t c kh nng ti sn c s s dch chuyn theo hng m bn mong mun. Thng thng, bt n c hm cng cao, gi tr thi gian ca option cng cao v cc option ny s c gi cao hn do kh nng option o hn theo hng c li cho bn cao hn. Nhn t ny c trnh by trong mi option nh l VEGA( Bn c th hiu nm na Vega l mc thay i trong gi quyn chn ng vi mt thay i rt nh trong bt n.)

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Using Options Tools To Trade Foreign-Exchange SpotNhng nhn t tc ng n bt n c hm Theo li din gii ca ton hc, nhng nhn t m tc ng ln bt n c hm l gi thc hin( hay gi o hn ca option), li sut phi ri ro, thi gian o hn v gi ca option. Tt c cc nhn t ny l u vo ca mt s m hn nh gi option, chng hn nh l m hnh nh gi Black-Scholes Option. bt n c hm n gin cng l ch l mt bin trong cc m hnh nh gi ny. Thc t, bt n c hm c xc nh bi nh gi ca nhng ngi to lp th trng v k vng ca mi ngi lin quan n nhng s kin m c th lm thay i gi tr ca option. Trong nhng lc th trng mt chiu( tc bn mua nhiu hn bn bn), cc nh to lp th trng( market makers) s c nhim v l bn cc option ti nhng ngi mua nhm duy tr tnh thanh khon cho th trng. H gia tng gi tr ca option thng qua vic gia tng nhng nh gi v bt n c hm nhm mc ch kim c li nhun nhiu hn. Ngc li, khi th trng trong tnh trng bn tho option, cc nh to lp th trng li c ngha v mua vo, gi ca optiton lc ny thp hn thng qua vic h thp nhng nh gi ca h v bt n c hm Lu : Nhiu nh giao dch option ang bn khong l ai l ngi s mua cc option khi m mi ngi u bn v ngc li ai s l ngi bn cc option khi m mi ngi u mun mua. Trong cc th trng mt chiu kiu vy, c mt s thc m cc nh giao dch option cn bit l h ang giao dch vi cc nh to lp th trng ch khng phi l vi cc nh giao dch option khc nh thng thng. th Implied Volatility bt n c hm ca cc option vi ti sn c s v thi gian o hn nh nhau thng c v trn cng mt biu cho ra N ci ma mai ca bt n( Volatility Smile) hoc l s thin lch ca bt n( Volatility Skew). N ci ma mai ca bt n hoc s thin lch ca bt n khng ch cho php cc nh giao dch bit c cc option no ang t hn ch trong nhy mt, m cn gip ch ra liu rng ti sn c s c c k vng s to ra nhng bin ng mnh trong ngn hn hay khng?

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Using Options Tools To Trade Foreign-Exchange SpotTnh tan bt n c hm nh th no? Trc khi gii thiu cch tnh ton bt n c hm , ti xin ni qua v m hnh nh gi option l Black-Scholes nh mt vi ln nhc ti cc phn trn. M hnh Black-Scholes thc ra l mt cng thc ton hc c thit k xc nh gi ca mt option, n bao gm nhiu bin u vo nh l gi hin ti ca ti sn c s( c phiu, tin t), gi o hn, bt n, thi gian n khi o hn, li sut phi ri ro, ngoi ra cn c c tc c chia nu l c phiu c chia c tc. Cng thc l: C0 = S0N(d1) - Xe-rTN(d2) Vi d1 = [ln(S0/X) + (r + 2/2)T]/ T v d2 = d1 - T Trong C0 = gi ca option hin ti S0 = gi th trng ca ti sn c s ( c phiu, tin t) N(d) = xc sut phn phi chun tch ly X = gi thc hin hay gi o hn ghi trong option e = 2.71828 da trn hm log t nhin r = li sut phi ri ro c ghp li lin tc T = thi gian n khi option o hn, tnh theo nm ln = hm logarith t nhin = bt n hng nm( lch chun) ca t sut sinh li nghp li lin tc ca ti sn c s.

Qa trnh nh gi theo m hnh trn c th c m t nh hnh trn. Ga m chng ta nhn c t m hnh trn l gi option theo l thuyt. Thc t mc gi ny lun lun khc so vi cc mc gi c nim yt trn th trng vi cng option ging vy. T m hnh Black-Scholes, ngi ta ny ra tng l sp xp li cng thc tnh ton rt ra lch chun. Nhng qu tht l ta khng th lm c iu , v vy chng ta s

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Using Options Tools To Trade Foreign-Exchange Spotthu c mt p n bng cachs th cc gi tr ca bt n cho n khi no gi ca option tnh theo m hnh Black-Scholes xp x gn bng vi gi th trng. Qa trnh c th c m t nh sau:Tp hp cc gi tr So, X, r, T v gi th trng ca quyn chn. Quy nh da trn chnh xc mong mun

La chn gi tr ban u ca

Tnh ton gi quyn chn mua theo m hnh nh gi

Gi th trng c bng vi gi tnh ton theo m hnh vi mc chnh xc mong mun khng

ng

Sai

bt n l gi tr hin ti ca

Gi tnh ton theo m hnh vt qu gi th

Ga tnh ton theo m hnh nh hn gi th trng

Kt thc

Gim gi tr ca

Tng gi tr ca

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Using Options Tools To Trade Foreign-Exchange SpotQa tht l hi phc tp phi khng. Nhng ng lo, v my tnh s lm gip bn. Ti ch phc ha ra y nhm gip cc bn c ci nhn r hn v cch ngi ta tnh ton. Tip theo ti s hng dn cc bn cch tnh ton bt n ny bng Exel, gip cc bn c th t tnh ton c( Nu tng lai th trng chng khon Vit Nam cho giao dch quyn chn th n rt hu ch cho cc bn sau ny). Chng ta s dng hm sau trong Excel IVol(OptionType, UnadjustedPrice, StrikePrice, StartDate, EndDate, OptionPremium, RiskfreeRate, DividendYield, WeekdaysOnlyMode, Precision)

OptionType: Enter "C" or "Call" or 0 for call option; "P" or "Put" or 1 for put option. If omitted, the function assumes "Call". Kiu Option: nh vo C hoc Call hoc 0 i vi call option. Tng t nh vy nhp P hoc "Put" hoc 0. Nu bn trng, Excel s mc nh l Call

UndajustedPrice: The present price of the underlying security (i.e., the stock price), before adjusting for future dividends. Ga hin thi ca ti sn c s.( nu l c phiu th y l gi hin ti trc khi iu chnh theo c tc c chia).

StrikePrice: Also known as "exercise price", the price at which the underlying security may be bought or sold upon exercise of the option. Ga o hn hay gi thc hin trong option, y lm mc gi m ti sn c s c th c mua hoc bn vo lc option o hn

StartDate: The beginning day of the period measure. If valuing an option as of today, you may enter "now()" for this argument. If omitted, the function treats this argument as zero. (Using zero as the start date is usually done in conjunction with a fixed time period such as "365," rather than an actual date, as the end date.) Ngy bt u ca thi k tnh ton. Bn c th nhp vo now(), nu option c nh gi bt u t ngy hm nay. Nu trng, Excel s ngm hiu l gi tr zero.( S dng zero l nh l ngy bt u th thng c kt hp vi mt thi k c nh, v d 365, ch khng phi l mt ngy thc t ngy kt thc( end date)). EndDate: The maturity, expiration, or exercise date of the option. If 0 was entered as the StartDate, then enter as the EndDate the number of days remaining until expiration rather than the absolute date of expiration.

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Using Options Tools To Trade Foreign-Exchange SpotNgy o hn ca option. Nu s 0 c nhp vo ngy Bt u( Stard Date) th bn phi in vo ny s ngy cn li cho ti khi option o hn, ch khng phi l ngy m option s o hn.

OptionPremium: The current value or price of the option. Ph quyn chn: Ga hin ti ca option

RiskfreeRate: The annual risk-free rate of interest which corresponds to a time period roughly equal to the remaining life of the option, expressed in continuous compounding terms. (See ContCompRate function.) If omitted, zero is assumed. Li sut phi ri ro: Li sut ny c ghp li lin lc, trong khong thi gian cn li t by gi n lc option o hn. Nu b qua, Excel s ngm nh gi tr ny l 0

DividendYield: The annualized dividend yield of the underlying security, expressed in continuous compounding terms. (See ContCompRate function). If omitted, zero is assumed. C tc c chia: ci ny dnh cho c phiu. C tc c chia hng nm ca chng khon, c th hin di dng nghp li lin tc. Nu b qua, gi tr ny, Excel ngm nh l 0

WeekdaysOnlyMode: 0 or omitted = OFF; 1 = ON. Ch ch tnh cc ngy giao dch trong tun: Nu nhp l 0 hoc b trng, Excel mc nh hiu l Off( tc ch ny khng c kch hot). Nu nhp vo l 1 th ch ny c bt

Precision: The acceptable error for the function's result. By default this function will return a correct value 0.1% (0.001). Since this function iterates to find the correct answer, setting a higher value may speed execution in a worksheet containing many (>100) instances of this function. Lower values increase the precision. Example: If the exact implied volatility is 25%, setting "Precision" to .005 will cause the function to return a value between 24.95% and 25.05%. chnh xc mong mun: Mc sai lch c th chp nhn i vi kt qu nhn c. Mc nh hm ny s cho kt qu vi sai lch l 0.1% (0.001). V hm ny l qu trnh lp i lp li tm kt qu gn ng nht, vic ci t cc gi tr cao hn c th lm tng tc x l nhiu gp trm ln thay v s dng nh mc nh ca n. Ngc li, gi tr cng thp, cng lm tng c chnh xc ca kt qu tm c, nhng tin trnh x l c th lu hn. Ly v d: Nu bt n c hm

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Using Options Tools To Trade Foreign-Exchange Spotl 25% v chnh xc mong mun c ci t l 0,005 th hm s tr v mt gi tr nm trong khong t 24.95% n 25.05%. Chng ta hy xem v d sau

Lu : V hm ny khng c sn trong excel nn bn phi ci t hm tnh ph hay gi quyn chn( option premium) trc c th s dng c hm ny. Vic ci t hm ny cng cn mt cht kin thc lin quan n VBA. Bn c th ln mng tm, c kh nhiu ti liu ni v vn ny, cng khng qu phc tp. Nh vy, n y cc bn c th hiu phn no v bt n v cch tm ra n. Chng ta cn phi phn bit hai khi nim, bt n qu kh v bt n c hm . bt n qu kh o lng mc bin ng trong qu khc ca ti sn c s hay cc hp ng giao sau. T bt n qu kh, ngi ta tnh ra bt n c hm , n n gin ch l bt n qu kh m lm cho gi otpion theo cc m hnh nh gi( chng hn nh l BlackScholes) bng vi gi option trn th trng. Bn cng khng cn phi quan tm lm ti cch tnh ton ny lm g, v hin nay a s cc sn giao dch u cung cp cc Implied Volatility( gi tt l IV) ng vi mi mc gi thc hin. Ci m bn nn lm l c gng tp trung phn tch IV cao hoc thp so vi cc mc trc th c mi lin h nh th no, nhm gip bn trnh c li thng dng nht m cc traders hay mc phi, l : mua IV cao, v bn IV thp. Cc bn c th ly cc thng tin v cc cng c ca option c cp nht hng ngy ti http://www.tradingfloor.com( click vo mc forex, vo tiu c dng ch Vols, Risk Reversals & Pin Risk)

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DANH MC TI LIU THAM KHO

1-Th trng Future v Option- Nh xut bn thng k 2-Qun tr ri ro Ti chnh- TS- Nguyn Th Ngc Trang-Nh xut bn thng k 3- http://www.investopedia.com 4- http://olesiafx.com 5- http://www.optiontradingpedia.com 6- http://www.onlineforextrading.com

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